ENgle-Granger help?

[thefan]

I have this question. Do we run an Engle-Granger only when there are two variables or can we run Engle-Granger when there are more than 2 variables?
suppose i'm testing the following can i run Engle-Granger?

Trade balance = b1+b2 Exchange rate+ b3 domestic GDP+ b4 foreign GDP

Also can anyone point me the steps of running Engle-Granger on EViews 6 please would be a great help coz I cant seen to find how to get the reiduals.

thanx

[EViews Glenn]

You can run it on more than two variables(in exactly the way you describe) provided there is a single cointegrating vector. Note that in principle it doesn't matter which variable is on the left-hand side so long as it's coefficient in the cointegrating vector is non-zero (since it effectively gets normalized to 1). The results of a cointegration test using these residuals will, however, differ depending on which variable you choose.